RIP Kiyoshi Ito - November 27, 2008
Mathematician Kiyoshi Ito died this month in Kyoto, Japan.
The New York Times notes that his work on random motion and probability was used in fields from finance to biology. His maths for describing random processes is now called ‘the Ito Calculus’, it adds. “People all over realized that what Ito had done explained things that were unexplainable before,” Daniel Stroock, a mathematician at MIT told the paper.
The citation for his 1998 Kyoto Prize in Basic Sciences says his theory “marked a new epoch in scientific research regarding random motion and stochastic phenomena in nature and society”.
Ito’s work - and the formula named for him - were key in the creation of the Black-Scholes model. This model calculates the values of stock options and its wide use led to Ito being dubbed “the most famous Japanese in Wall Street”, says the Kyodo News agency.
The Agonist blog has a great explanation of how his work was used – or misused – by traders and why “many of the large derivative vehicles that are now tumbling to the ground were designed with Ito calculus”.
In a speech given marking his Kyoto prize, Ito stated:
In precisely built mathematical structures, mathematicians find the same sort of beauty others find in enchanting pieces of music, or in magnificent architecture. There is, however, one great difference between the beauty of mathematical structures and that of great art.Music by Mozart, for instance, impresses greatly even those who do not know musical theory; the cathedral in Cologne overwhelms spectators even if they know nothing about Christianity. The beauty in mathematical structures, however, cannot be appreciated without understanding of a group of numerical formulae that express laws of logic. Only mathematicians can read "musical scores" containing many numerical formulae, and play that "music" in their hearts. Accordingly, I once believed that without numerical formulae, I could never communicate the sweet melody played in my heart.
